The Application of Asymmetric Liquidity Risk Measure in Modelling the Risk of Investment

• Authors: Przemysław Garsztka , Krzysztof Hołubowicz
• Languages of publication: EN

Abstracts

EN

The article analyses the relationship between investment risk (as measured by the variance of returns or standard deviation of returns) and liquidity risk. The paper presents a method for calculating a new measure of liquidity risk, based on the characteristic line. In addition, it is checked what is the impact of liquidity risk to the volatility of daily returns. To describe this relationship dynamic econometric models were used. It was found that there was an econometric relationship between the proposed measure liquidity risk and the variance of returns.

Keywords

EN

specific risk; assets liquidity; dynamic econometric model

• Publisher: Sciendo
• Journal: Folia Oeconomica Stetinensia
• Year: 2015
• Volume: 15
• Issue: 1
• Pages: 83-100

Dates

published

2015-06-01

received

2014-10-06

accepted

2015-06-30

online

2015-12-30

Contributors

author

Przemysław Garsztka

• Poznań University of Economics Faculty of Informatics and Electronic Economy Department of Econometrics al. Niepodległości 10, 61-875 Poznań, Poland

author

Krzysztof Hołubowicz

• Poznań University of Economics Faculty of Informatics and Electronic Economy al. Niepodległości 10, 61-875 Poznań, Poland

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Identifiers

DOI

10.1515/foli-2015-0030